I believe it may be the same as it is on other iPhones. Once you've decided which apps you want to group together in folders, touch one app icon until it starts to wiggle, then drag it over another app icon, and a folder will automatically be created.
The folders label automatically, but you can edit that as well. To change the name of the folder, tap on the label and a dark box will appear, which indicates that you are in edit mode, and can change the name of the folder.